Stochastic maximum principle for partially observed optimal control problems of general McKean-Vlasov differential equations

DOI10.1007/s41980-020-00426-1zbMath1469.93117OpenAlexW3040406409MaRDI QIDQ2043568

Mokhtar Hafayed, Hakima Miloudi, Imad Eddine Lakhdari

Publication date: 2 August 2021

Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s41980-020-00426-1

zbMATH Keywords

stochastic maximum principleprobability measurepartially observed optimal controlderivative with respect to measuresMcKean-Vlasov differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items

Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps ⋮ A stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with random jumps ⋮ Stochastic maximum principle for weighted mean-field system ⋮ On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach

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